What does N(d?) represent in the Black-Scholes model?
A) Hedge ratio.
B) Partial derivative of the call's value with respect to the stock price.
C) Change in the option's value given a one dollar change in the underlying security's price.
D) Option's delta.
E) All of the above.

Question

Quizplus · Accepted Answer

N(d1) in the Black-Scholes model represents the hedge ratio, which is also the partial derivative of the call's value with respect to the stock price, indicating the change in the option's value given a one dollar change in the underlying security's price. This is commonly referred to as the option's delta, making all of the provided options correct.

What Does N(d?) Represent in the Black-Scholes Model